In 2009, Avellaneda and Lipkin (A&L) proposed a dynamic model for hard-to-borrow stocks, in which the stock price and the buy-in rate, an additional factor introduced by them, are full coupled. In order to obtain a semi-explicit pricing formula for European call options, A&L had to make an...

The behavior of the optimal exercise price of American puts near expiry has been well studied under the Black-Scholes model as a result of a series of publications. However, the behavior of the optimal exercise price under a stochastic volatility model, such as the Heston model, has not been...